63 citations · 156 across the 19 of their papers we have counts for
Showing 2015Show all
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q-fin.TR2015★ 2 cited
Ergodicity and diffusivity of Markovian order book models: a general framework
Weibing Huang, Mathieu Rosenbaum
We present a general Markovian framework for order book modeling. Through our approach, we aim at providing a tool enabling to get a better understanding of the price formation pro…
math.PR2015
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
Thibault Jaisson, Mathieu Rosenbaum
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has norm close to one and power law tail of the form ,…
math.ST2015
The different asymptotic regimes of nearly unstable autoregressive processes
Thibault Jaisson, Mathieu Rosenbaum
We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by u…